forecast for VECM-GARCH model

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satya
Posts: 2
Joined: Mon Aug 18, 2014 6:34 am

forecast for VECM-GARCH model

Postby satya » Mon Aug 18, 2014 6:39 am

Dear Sir,

I am trying to forecast for VECM-GARCH model. The forecast var add-in only does for VECM and VAR models but does't help for VECM-GARCH model. kindly assist

Regards,
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EViews Gareth
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Joined: Tue Sep 16, 2008 5:38 pm

Re: forecast for VECM-GARCH model

Postby EViews Gareth » Mon Aug 18, 2014 8:00 am

Since EViews doesn't have a VECM-GARCH estimator, it doesn't have an Add-in to forecast from a VECM-GARCH estimate.
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satya
Posts: 2
Joined: Mon Aug 18, 2014 6:34 am

Re: forecast for VECM-GARCH model

Postby satya » Fri Aug 22, 2014 1:32 am

We can create a Bivariate Error Correction Model (ECM) with GARCH (viewtopic.php?f=4&t=1762) in eviews.

Do we have the forecast addins for it?

thanks
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